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Inference (一千年以后) 于 (Sun Oct 22 19:01:37 2006) 提到:
1. Consider two investment managers, manager A and manager B.
a. Manager A has a portfolio in which she is short short-term debt
(with maturity < 1 yr.) and long long-term debt
(with maturities 5-10 years).
She has matched her short and long positions so that her net
duration
is very close to zero.
b. Manager B has a portfolio in which he is long both sho
